Monday, August 29, 2016

Stocks Higher into Final Hour on Lower Long-Term Rates, Technical Buying, Short-Covering, Metals & Mining/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.99 -4.84%
  • Euro/Yen Carry Return Index 119.18 +.13%
  • Emerging Markets Currency Volatility(VXY) 10.17 +.79%
  • S&P 500 Implied Correlation 45.19 -2.16%
  • ISE Sentiment Index 145.0 +64.77%
  • Total Put/Call .91 -12.5%
  • NYSE Arms .42 -63.79
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.07 -1.12%
  • America Energy Sector High-Yield CDS Index 688.0 -.05%
  • European Financial Sector CDS Index 89.15 -.11%
  • Western Europe Sovereign Debt CDS Index 24.47 -.69%
  • Asia Pacific Sovereign Debt CDS Index 41.70 +3.55%
  • Emerging Market CDS Index 241.88 -.47%
  • iBoxx Offshore RMB China Corporate High Yield Index 131.84 +.11%
  • 2-Year Swap Spread 22.75 +.5 basis point
  • TED Spread 52.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -41.75 -2.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.67 -.24%
  • 3-Month T-Bill Yield .31% -1.0 basis point
  • Yield Curve 76.0 -1.0 basis point
  • China Import Iron Ore Spot $59.14/Metric Tonne +.02%
  • Citi US Economic Surprise Index 10.6 -.5 point
  • Citi Eurozone Economic Surprise Index 16.9 -4.3 points
  • Citi Emerging Markets Economic Surprise Index -4.3 -.7 point
  • 10-Year TIPS Spread 1.47% -4.0 basis points
  • 41.5% chance of Fed rate hike at Nov. 2 meeting, 59.9% chance at Dec. 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -12 open in Japan 
  • China A50 Futures: Indicating +11 open in China
  • DAX Futures: Indicating +12 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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